Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 2 2 4
Score -5.84 -4.1 -1.62
Market Cap (Millions USD) 8819.92 8727.17 8867.5
Predicted Beta 2.4 2.4 2.45
Idiosyncratic Volatility 4.35 3.15 5.98

Annualized return and volatility

IWO
Annualized Return 0.0617
Annualized Std Dev 0.2413
Annualized Sharpe (Rf=0%) 0.2557

Row

Daily Return Statistics

IWO
Observations 4966.0000
NAs 148.0000
Minimum -0.1023
Quartile 1 -0.0073
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0085
Maximum 0.1094
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0152
Skewness -0.0761
Kurtosis 3.6304

Downside Risk

IWO
Semi Deviation 0.0109
Gain Deviation 0.0102
Loss Deviation 0.0109
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.6010
Historical VaR (95%) -0.0248
Historical ES (95%) -0.0348
Modified VaR (95%) -0.0239
Modified ES (95%) -0.0373
From Trough To Depth Length To Trough Recovery
2000-09-05 2002-10-09 2007-02-22 -0.6010 1652 534 1118
2007-10-11 2009-03-09 2010-12-21 -0.5762 820 363 457
2011-05-02 2011-10-03 2012-09-14 -0.2923 353 109 244
2018-09-04 2018-12-24 NA -0.2881 336 79 NA
2015-06-24 2016-02-11 2016-12-08 -0.2870 375 164 211

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IWO
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA -1.0 0.8 0.0 -0.7 3.5 0.0 2.6
2001 0.1 -0.6 0.0 1.0 -0.1 0.0 1.4 0.0 -0.2 2.0 0.0 0.0 3.7
2002 -0.2 2.5 0.0 0.0 0.0 -5.3 -2.1 0.0 1.7 2.6 0.0 0.0 -1.0
2003 0.0 0.0 1.8 0.3 0.0 1.3 -1.6 0.0 2.1 0.0 1.2 0.0 5.1
2004 0.0 1.3 0.8 0.0 1.3 -1.8 0.0 1.2 2.1 0.3 1.6 0.0 7.1
2005 0.7 0.6 -0.5 0.0 0.8 0.6 0.2 0.0 0.0 0.7 1.9 0.0 5.0
2006 1.3 2.0 0.0 -1.0 1.9 0.0 -1.8 0.3 0.0 -2.1 -0.3 0.0 0.1
2007 1.1 -0.5 0.0 0.1 0.5 0.0 0.2 0.0 2.9 -3.3 0.0 0.0 0.9
2008 2.6 0.0 3.9 1.6 0.0 0.1 0.7 0.0 -1.5 0.0 -10.2 0.0 -3.4
2009 0.0 0.0 1.3 0.8 3.6 1.6 0.0 -2.1 -3.1 0.0 1.6 0.0 3.5
2010 1.1 2.4 0.8 0.0 -2.7 -0.7 0.0 3.8 0.5 -0.9 2.3 0.0 6.8
2011 2.2 -2.0 0.4 0.0 -3.3 1.4 -0.5 -2.0 0.0 -3.3 -0.6 0.0 -7.6
2012 2.2 0.7 0.0 0.2 -3.4 0.0 -1.8 0.0 0.3 1.3 0.0 0.0 -0.6
2013 0.9 0.6 -1.3 -2.3 0.0 1.8 1.7 0.0 1.3 -0.5 0.0 0.0 2.3
2014 0.0 0.0 1.5 0.2 0.0 1.2 -0.5 0.0 -1.7 0.0 -1.8 0.0 -1.2
2015 0.0 0.0 -0.1 0.9 0.3 0.3 0.0 -2.7 -0.2 0.0 0.6 0.0 -0.8
2016 -0.1 2.2 0.8 0.0 0.8 0.4 0.4 0.4 0.0 -1.2 -1.2 0.0 2.5
2017 0.1 1.7 0.0 0.7 2.0 0.0 0.1 0.4 0.0 -0.8 -0.6 0.0 3.7
2018 0.4 -0.6 0.0 0.6 0.9 0.0 0.1 0.0 -1.6 2.7 0.0 0.0 2.6
2019 0.2 1.3 0.7 -1.1 0.0 0.7 -0.9 0.0 -2.0 1.7 0.0 0.3 0.8

Row

Rolling Performance Chart

Snail Trail Chart